mvtnorm (version 1.0-5)

Mvt: The Multivariate t Distribution

Description

These functions provide information about the multivariate $t$ distribution with non-centrality parameter (or mode) delta, scale matrix sigma and degrees of freedom df. dmvt gives the density and rmvt generates random deviates.

Usage

rmvt(n, sigma = diag(2), df = 1, delta = rep(0, nrow(sigma)),
     type = c("shifted", "Kshirsagar"), ...)
dmvt(x, delta = rep(0, p), sigma = diag(p), df = 1, log = TRUE,
     type = "shifted")

Arguments

x

vector or matrix of quantiles. If x is a matrix, each row is taken to be a quantile.

n

number of observations.

delta

the vector of noncentrality parameters of length n, for type = "shifted" delta specifies the mode.

sigma

scale matrix, defaults to diag(ncol(x)).

df

degrees of freedom. df = 0 or df = Inf corresponds to the multivariate normal distribution.

log

logical indicating whether densities $d$ are given as $\log(d)$.

type

type of the noncentral multivariate $t$ distribution. type = "Kshirsagar" corresponds to formula (1.4) in Genz and Bretz (2009) (see also Chapter 5.1 in Kotz and Nadarajah (2004)). This is the noncentral t-distribution needed

...

additional arguments to rmvnorm(), for example method.

Details

If $\bm{X}$ denotes a random vector following a $t$ distribution with location vector $\bm{0}$ and scale matrix $\Sigma$ (written $X\sim t_\nu(\bm{0},\Sigma)$), the scale matrix (the argument sigma) is not equal to the covariance matrix $Cov(\bm{X})$ of $\bm{X}$. If the degrees of freedom $\nu$ (the argument df) is larger than 2, then $Cov(\bm{X})=\Sigma\nu/(\nu-2)$. Furthermore, in this case the correlation matrix $Cor(\bm{X})$ equals the correlation matrix corresponding to the scale matrix $\Sigma$ (which can be computed with cov2cor()). Note that the scale matrix is sometimes referred to as dispersion matrix; see McNeil, Frey, Embrechts (2005, p. 74).

For type = "shifted" the density $$c(1+(x-\delta)'S^{-1}(x-\delta)/\nu)^{-(\nu+m)/2}$$ is implemented, where $$c = \Gamma((\nu+m)/2)/((\pi \nu)^{m/2}\Gamma(\nu/2)|S|^{1/2}),$$ $S$ is a positive definite symmetric matrix (the matrix sigma above), $\delta$ is the non-centrality vector and $\nu$ are the degrees of freedom.

df=0 historically leads to the multivariate normal distribution. From a mathematical point of view, rather df=Inf corresponds to the multivariate normal distribution. This is (now) also allowed for rmvt() and dmvt().

Note that dmvt() has default log = TRUE, whereas dmvnorm() has default log = FALSE.

References

McNeil, A. J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.

See Also

pmvt() and qmvt()

Examples

## basic evaluation
dmvt(x = c(0,0), sigma = diag(2))

## check behavior for df=0 and df=Inf
x <- c(1.23, 4.56)
mu <- 1:2
Sigma <- diag(2)
x0 <- dmvt(x, delta = mu, sigma = Sigma, df = 0) # default log = TRUE!
x8 <- dmvt(x, delta = mu, sigma = Sigma, df = Inf) # default log = TRUE!
xn <- dmvnorm(x, mean = mu, sigma = Sigma, log = TRUE)
stopifnot(identical(x0, x8), identical(x0, xn))

## X ~ t_3(0, diag(2))
x <- rmvt(100, sigma = diag(2), df = 3) # t_3(0, diag(2)) sample
plot(x)

## X ~ t_3(mu, Sigma)
n <- 1000
mu <- 1:2
Sigma <- matrix(c(4, 2, 2, 3), ncol=2)
set.seed(271)
x <- rep(mu, each=n) + rmvt(n, sigma=Sigma, df=3)
plot(x)

## Note that the call rmvt(n, mean=mu, sigma=Sigma, df=3) does *not*
## give a valid sample from t_3(mu, Sigma)! [and thus throws an error]
try(rmvt(n, mean=mu, sigma=Sigma, df=3))

## df=Inf correctly samples from a multivariate normal distribution
set.seed(271)
x <- rep(mu, each=n) + rmvt(n, sigma=Sigma, df=Inf)
set.seed(271)
x. <- rmvnorm(n, mean=mu, sigma=Sigma)
stopifnot(identical(x, x.))